can i react to Sett Brawler play before he gets buffed

Yes. Sett, Brawler's buff is a "When I'm played" trigger that goes on the Chain separately from the play itself, so after he enters at 4 Might you get a Reaction window before that trigger resolves.

Shakedown (Reaction) can target him while the buff is still pending — it resolves first, dealing 6 to a 4-Might Sett. He takes lethal damage, and once he's gone the buff trigger does nothing. Sett Legend ("The Boss") can't save him because the save requires spending a buff he never got. One out: if Sett's controller lets you draw 2 instead, he survives and the buff then lands. (FAQ #5004; triggers on Chain per Rules 382–383.)